The three were wearing a Ku Klux Klan mask, a 'niqab' and a motorcycle helmet, the Sydney Morning Herald reported.
The protesters were stopped between Old Parliament House and the Parliament House forecourt and told by police that the men wearing the Ku Klux Klan hat and motorcycle helmet would be forced to remove their facial coverings but the man wearing the 'niqab' would be allowed to keep it on.
Sergio Redegalli, Nick Folkes and Victor Waterson termed their movement, which opposes the burqa being worn in public spaces, as 'Faceless'. They also expressed strong views against what they said was the political ideology of Islam, which they said was contrary to Australian beliefs.
The group said they opposed the decision earlier this month to overrule a ban on the 'burqa' being worn in public places.
The policy has sparked some criticism within Australia.
The policy requiring the temporary removal of facial coverings came into effect Oct 20 enabling security staff to identify a person who may be a security risk.